Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0503 |
| Annualized Std Dev | 0.4517 |
| Annualized Sharpe (Rf=0%) | 0.1113 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2964.0000 |
| NAs | 1.0000 |
| Minimum | -0.2332 |
| Quartile 1 | -0.0148 |
| Median | 0.0014 |
| Arithmetic Mean | 0.0006 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0164 |
| Maximum | 0.1498 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0016 |
| Variance | 0.0008 |
| Stdev | 0.0285 |
| Skewness | -0.4231 |
| Kurtosis | 4.8500 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0208 |
| Gain Deviation | 0.0182 |
| Loss Deviation | 0.0209 |
| Downside Deviation (MAR=210%) | 0.0250 |
| Downside Deviation (Rf=0%) | 0.0205 |
| Downside Deviation (0%) | 0.0205 |
| Maximum Drawdown | 0.7166 |
| Historical VaR (95%) | -0.0439 |
| Historical ES (95%) | -0.0664 |
| Modified VaR (95%) | -0.0467 |
| Modified ES (95%) | -0.0849 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-04-27 | 2016-01-20 | 2021-02-11 | -0.7166 | 2462 | 1190 | 1272 |
| 2010-04-15 | 2010-05-20 | 2010-10-01 | -0.3308 | 119 | 26 | 93 |
| 2010-01-11 | 2010-02-08 | 2010-04-05 | -0.2790 | 58 | 20 | 38 |
| 2009-06-12 | 2009-06-22 | 2009-07-20 | -0.2061 | 26 | 7 | 19 |
| 2009-10-15 | 2009-10-30 | 2009-11-16 | -0.1964 | 23 | 12 | 11 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | 3.3 | 0.8 | -4.1 | -5.5 | -9.2 | 5.6 | 0.7 | -8.8 |
| 2010 | 3.8 | 3.4 | 5.2 | -1.9 | -3.5 | 0.3 | 0.6 | 6.9 | 3.2 | 2.2 | 5.8 | 1.4 | 30.3 |
| 2011 | 4.9 | -2.1 | 3.1 | 1.4 | -3.4 | 2.9 | -0.5 | -1 | -9.2 | -4.9 | -0.8 | 0.6 | -9.4 |
| 2012 | 4.2 | 2.3 | 1.5 | 1.4 | -5.9 | 11.1 | -0.4 | 1.9 | 2 | 2.9 | -0.3 | 2.8 | 25.3 |
| 2013 | 1.2 | 0.4 | -2.2 | -2.4 | -3.3 | 0.3 | 3.5 | 0.9 | 3.9 | -1.2 | 2.4 | 1.2 | 4.6 |
| 2014 | 0.5 | -1.3 | 1.4 | 0.1 | -1.9 | 1.8 | 1.7 | -0.3 | -3.8 | 1 | -3.3 | -0.4 | -4.6 |
| 2015 | -5.2 | 0.6 | 2.4 | 0.9 | -1.2 | -0.9 | 2.2 | -7.9 | 1.5 | 0.3 | 2.2 | -1.1 | -6.7 |
| 2016 | -1.1 | 7.3 | -1.3 | -0.5 | 0.1 | 2.7 | -0.3 | 1.7 | 1.3 | -1.6 | -2.7 | -1.5 | 3.7 |
| 2017 | -0.7 | 2.8 | -1.3 | 0.6 | 1.5 | 1.8 | 1.3 | 0.9 | 2.4 | 1.3 | -1.4 | 1.4 | 10.8 |
| 2018 | -2.6 | -0.4 | 3.7 | -0.9 | 2.5 | 3.7 | -1.3 | 1.5 | 0.1 | 5.9 | -0.9 | -0.9 | 10.7 |
| 2019 | -1.4 | -0.2 | 3 | -1.5 | 0.8 | 2.9 | -4.3 | 1.5 | -1.2 | 3.2 | -2.9 | 0.7 | 0.4 |
| 2020 | -4.1 | -1.1 | -8.4 | -6.7 | 3.8 | 2.7 | -1.6 | 3 | 1.9 | -2.5 | 3.7 | -0.4 | -10.1 |
| 2021 | 5.5 | 5.7 | 2.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 13.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-06-04 58.0 SPY 94.5 0.0094 0.0397 0.0437 0.374 -0.315 -0.267 -0.164 GLD 96.2 1.93e-2 0.0211
2 2009-06-05 58.0 SPY 94.6 0.0002 0.0218 0.0261 0.372 -0.328 -0.256 -0.156 GLD 93.7 -2.62e-2 -0.0259
3 2009-06-08 56.5 SPY 94.2 -0.0041 -0.0064 0.0363 0.382 -0.309 -0.258 -0.167 GLD 93.6 -1.60e-3 -0.0227
4 2009-06-09 56.6 SPY 94.6 0.0051 -0.0022 0.0179 0.311 -0.307 -0.248 -0.175 GLD 93.8 2.90e-3 -0.0263
5 2009-06-10 58.0 SPY 94.4 -0.0025 0.008 0.0346 0.300 -0.306 -0.249 -0.178 GLD 93.9 3.00e-4 -0.00580
6 2009-06-11 60.3 SPY 94.8 0.0044 0.0031 0.0423 0.256 -0.292 -0.244 -0.167 GLD 93.7 -1.70e-3 -0.0263
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
